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... actually there is no other maths toys suitable for his level.
This sounds unusual. Is this due to your son's advanced talent in math, has he surpassed the materials available?

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my son doesn't like to play with "non-educational toys" (sorry for the "educational" i mean here is sth related to academics) like figures, trucks and pretend-play toys.

... it is okay to let him just pick some toys and play with other kids, but it seems doesn't work in Montessori preschool.
From your post it is not possible to tell if the reason this doesn't work is related to the preschool's Montessori philosophy or to your son's preferences?

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However, I am thinking to change his preschool now as I found that the school give him too many worksheet. The reason is that he is so into writing and after assessment, the teacher would like to focus him on language art (as english is his second language)...

He started writing his name when he was 2.5 yrs old with mixing of upper and lower case letters (and he write all the words with a mixing of U/L case too), so the teacher draw a cross next to his name and his words and ask him to practice again. He is so sad when he telling me that teacher said he is wrong and have to write lower case letters instead (i am surprise that he totally understand what the teacher said).
It sounds like the teacher believes she is going "above and beyond" to meet the child at his level of assessment, achievement, and interest, rather than focusing on what is developmentally typical for his chronological age. Customized attention and support in developing child-led interests to the next level is what many gifted students and parents hope for.

Unfortunately, in this case the challenge for developing to the next level has been done in a manner which is discouraging to your son. It is being experienced more like the negative pressure of hot-housing than as positive support. There is a fine line, and it has been crossed. It seems it would be an easy thing, at this point, to gently discuss this with the preschool teacher and share expectations.

Finding the right balance of adult encouragement and support for a child's challenge and joy in learning is a process which undergoes constant refinement. Parents frequently make adjustments in their approach. In partnering with the teacher, she may learn it is OK to make adjustments too.

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Would like to ask should I support what the teachers do in class and ask him to write it "Correctly"? Is it too early as he is only 3 now, and he enjoys writing so much.
You may wish to share with the teacher that your son, although interested in writing, is still only three and finds the corrections discouraging but would enjoy or benefit from... (insert preferences here)... displaying his work in the classroom, being encouraged to illustrate his stories, help with spelling, reading and/or being read to, being encouraged to play or teamed up to play with other kids in putting together a puzzle, etc

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I am thinking to switch my son to a playbase preschool to improve his social skill and avoid those worksheets, not sure if it a good choice, any experience and advice?
Does your child like the classroom, the other kids, the teacher? Does he have friends? Has he asked to see other kids outside of the preschool, for play dates?

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"yup! multiply it, teacher also did that"... where i made a mistake :P
In seeing an "X" as a multiplication sign, he's definitely looking at this through a math lens!